Tuesday, February 24, 2009

ProShares ETFs - with volume through the roof, who are the new leaders?

Since then, there have been two situations that suggest it might be a good time to look at trading volume again: ProShares has created a half dozen new ETFs that weren't in our previous analysis and market conditions have taken a further turn for the worse with the S&P 500, for example, going from roughly 1325 to under 800.

Below we present a table contrasting average daily volume in the year leading up to June 25, 2008 with average daily volume in the eight months since June 25, 2008. It is sorted in descending order based on the latest volume numbers.

Symbol

Name

Avg Daily Volume prior to 6-25-08

Avg Daily Volume since 6-25-08

UYG

Ultra Financials

3,778,258

112,176,547

SSO

Ultra S&P500

2,368,347

56,212,929

SDS

UltraShort S&P500

10,640,286

43,730,513

QID

UltraShort QQQ

20,042,465

38,670,681

QLD

Ultra QQQ

4,171,179

31,438,395

SKF

UltraShort Financials

3,778,876

30,151,740

DUG

UltraShort Oil & Gas

3,703,700

20,425,378

DIG

Ultra Oil & Gas

162,924

13,143,336

DDM

Ultra Dow30

528,774

12,160,807

DXD

UltraShort Dow30

2,454,753

11,606,795

SRS

UltraShort Real Estate

892,856

11,143,286

URE

Ultra Real Estate

81,689

9,003,131

TWM

UltraShort Russell2000

4,337,620

7,580,650

UCO

Ultra DJ-AIG Crude Oil

7,238,102

UWM

Ultra Russell2000

475,894

4,743,293

UYM

Ultra Basic Materials

27,550

4,714,658

SMN

UltraShort Basic Materials

390,431

3,192,335

FXP

UltraShort FTSE/Xinhua China 25

2,260,873

2,635,880

EEV

UltraShort MSCI Emerging Markets

563,881

2,516,679

TBT

UltraShort Lehman 20+ Year Treasury

156,322

1,953,684

SH

Short S&P500

174,924

1,137,686

MZZ

UltraShort MidCap400

451,919

1,064,628

MVV

Ultra MidCap400

123,451

1,059,239

DOG

Short Dow30

157,933

776,583

USD

Ultra Semiconductors

65,585

389,699

PSQ

Short QQQ

100,591

316,107

EFU

UltraShort MSCI EAFE

104,662

276,254

ROM

Ultra Technology

52,511

253,786

UGL

Ultra Gold

213,400

RWM

Short Russell2000

43,922

198,642

SCC

UltraShort Consumer Services

27,736

149,963

REW

UltraShort Technology

37,704

139,168

SAA

Ultra SmallCap600

14,532

112,946

PST

UltraShort Lehman 7-10 Year Treasury

40,535

104,673

SSG

UltraShort Semiconductors

24,423

90,478

SDD

UltraShort SmallCap600

60,777

87,470

SIJ

UltraShort Industrials

17,818

71,930

AGQ

Ultra Silver

69,143

UKK

Ultra Russell2000 Growth

11,173

62,808

RXL

Ultra Health Care

6,507

54,273

UVT

Ultra Russell2000 Value

7,349

51,201

EUM

Short MSCI Emerging Markets

33,837

48,629

MYY

Short MidCap400

64,646

47,522

UVG

Ultra Russell1000 Value

4,665

46,306

SDP

UltraShort Utilities

28,313

44,947

SZK

UltraShort Consumer Goods

13,972

43,940

SKK

UltraShort Russell2000 Growth

39,434

41,554

UPW

Ultra Utilities

10,043

41,375

SJH

UltraShort Russell2000 Value

40,356

40,062

EFZ

Short MSCI EAFE

12,423

39,222

UKF

Ultra Russell1000 Growth

17,312

37,990

UXI

Ultra Industrials

6,775

36,765

UKW

Ultra Russell MidCap Growth

6,863

32,999

SFK

UltraShort Russell1000 Growth

8,403

27,882

EWV

UltraShort MSCI Japan

24,811

26,478

SDK

UltraShort Russell MidCap Growth

9,104

24,653

UVU

Ultra Russell MidCap Value

3,433

21,522

UCC

Ultra Consumer Services

4,264

21,220

SJF

UltraShort Russell1000 Value

6,667

19,651

UCD

Ultra DJ-AIG Commodities

16,787

UGE

Ultra Consumer Goods

4,853

15,250

YCL

Ultra Yen

14,143

SBB

Short SmallCap600

7,392

13,601

ULE

Ultra Euro

12,610

LTL

Ultra Telecommunications

1,596

9,038

SJL

UltraShort Russell MidCap Value

7,639

7,957

RXD

UltraShort Health Care

4,822

6,953

The first thing that jumps out is that acceptance of these ETFs has really skyrocketed. For the more popular ETFs, average daily trading volume is up orders of magnitude higher compared to last summer.

Look who's on top of the list: Ultra Financials (UYG). Wow, people have been trading the heck out of this ETF! Its UltraShort equivalent (SKF) has only half the volume though it seems to get twice the publicity. With volume in the bullish ETF double the volume in the bearish ETF, should we assume the bottom for financial stocks has been reached?

The UltraShort QQQ (QID) was by far the ETF with the highest average daily volume in our last survey. This ETF has now dropped to fourth place and its bullish Ultra counterpart, SDS, has become popular enough to boast volume nearly as high as QID.

Some of the new ETFs have also made a big splash. The Ultra DJ-AIG Crude Oil ETF (UCO) didn't even exist last summer but is now trading over 7M shares per day. And this is despite the fact that oil is clearly not in a bull market at the moment. Interestingly, the Ultra DJ-AIG Commodities ETF (UCD), which is comprised of up to 15% of oil futures, is pretty much being neglected, trading less that 17,000 shares a day. Also in the commodities sector and a new entry since our first post, the Ultra Gold ETF (UGL) is now trading a respectable 200,000 shares per day.

I am also struck by the fact that there is so much volume for the Ultra (bullish) ETFs in the top half of our list. With so much doom and gloom hanging over the markets since last summer, I had expected to see the UltraShort (bearish) ETFs become the volume leaders. In some cases, the opposite occurred as we pointed out when discussing UYG and SKF above. In many cases, however, volume is running more or less even between the Ultra and UltraShort ETFs.

In our last post, we made a few generic points about these ETFs and the impacts of trading volume: that higher volume generally leads to narrower bid/ask spreads, higher volume often results in tracking of the underlying index more closely and that higher volume can allow fees to be spread across more shares thus reducing expenses for individual holders. All these still hold true. Back then, I suggested investors should limit themselves to the top third of the list. As volume has grown, though, it now appears that the entire top half of the list looks pretty safe to trade.

Disclaimer: This site may include market analysis. All ideas, opinions, and/or forecasts, expressed or implied herein, are for informational purposes only and should not be construed as a recommendation to invest, trade, and/or speculate in the markets. Any investments, trades, and/or speculations made in light of the ideas, opinions, and/or forecasts, expressed or implied herein, are committed at your own risk, financial or otherwise.

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